This paper uses the ordered logit regression combining method to form consensus forecasts from different individual bond rating forecasts, to predict bond ratings in the transportation and industrial sectors form Moody's bond rating service.

This paper proposes a new kind of asymmetric GARCh where the conditional variance obeys two different regimes with a smooth transition function. In one formulation, the conditional variance reacts differently to negative and positive shocks while in a second formulation, small and big shocks...

We consider a kernel based approach to nonlinear canonical correlation analysis and its implementation for time series. We deduce various diagnostics for reversible processes and gaussian processes.

This paper uses the ordered logit regression combining method to form consensus forecasts from different individual bond rating forecasts, to predict bond ratings in the transportation and industrial sectors form Moody's bond rating service.

We combine micro and macro unemployment duration data to study the effects of the business cycle on the outflow from unemployment. We allow the cycle to affect individual exit probabilities of unemployed workers as well as the composition of the total inflow into unemployment. We estimate the...

A two-step procedure to produce a statistical measure of the probability of being in an accelerating or deccelerating phase of economic activity is proposed.